Re: st: testing across different sub-samples

What you need to do is a Chow test--i.e., test whether the set of
coefficients differ across samples.

There is a quick way to do this using -suest-
Model the fixed effects with dummies, if you have any.
HTH,
John.
____________________________________________________
Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
Faculty page:
http://www.hec.unil.ch/people/jantonakis&cl=en
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
On 24.09.2009 15:08, Francesco Trivieri wrote:

Dear Martin,

thank you again for your answer. I thought about using a Hausman test,
but I couldn't figure out how to actually implement it in stata for my
case. Please find below a more detailed description of my problem:

on two different sub-samples (A and B), which can be individuated by a
dummy D. In both cases, I compute an index given by the sum of the
first three coefficients (b1+b2+b3). Then I need to assess whether the
two indexes from the two sub-samples are statistically different. In
other words, I need to test whether (b1+b2+b3) in A = ( b1+b2+b3)
in B.